Case studies

Selected internships

- Clemencia de Abreu
- Michiel Marck
- Irakli Khomasuridze
- Geeske Vlaming
- Jannemiek ter Horst

 

Name: Irakli Khomasuridze
University: Twente University
Study: Master's in Financial Engineering & Applied Mathematics
Internship: six-month research internship with Saen Options

 


 

Research Topic: Extensions of the SABR model for equity options
>> Read research proposal


"During my Master's in Financial Engineering and Applied Mathematics at Twente University, I followed an internship for six months at Saen Options. My research topic is related to pricing derivative options under the assumption of stochastic volatility (extension of the SABR model by adding mean reverting term to stochastic volatility). I now work as a quantitative analyst for ABN AMRO in market risk management. Given that my thesis was on market risk management for equity products, there's an obvious correlation between my internship and my current job!"

"The internship was a great opportunity: I appreciated being close to the trading floor - where the financial heart is beating. Theoretical knowledge alone is not enough and hands-on experience and support from the guys on the floor is something you just don't get in the classroom. I'd recommend this to anyone wanting to pursue a career in this field - it's a great experience!"

 

 

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